Bayesian Optimization via Simulation with Pairwise Sampling and Correlated Prior Beliefs
From MaRDI portal
Publication:5740229
DOI10.1287/opre.2016.1480zbMath1342.90107MaRDI QIDQ5740229
Peter I. Frazier, Stephen E. Chick, Jing Xie
Publication date: 25 July 2016
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.2016.1480
90C10: Integer programming
Related Items
Unnamed Item, Gaussian Markov Random Fields for Discrete Optimization via Simulation: Framework and Algorithms, Bayesian Optimization Allowing for Common Random Numbers, Dynamic Sampling Allocation Under Finite Simulation Budget for Feasibility Determination, Rapid Discrete Optimization via Simulation with Gaussian Markov Random Fields, Posterior-Based Stopping Rules for Bayesian Ranking-and-Selection Procedures, Faster Kriging: Facing High-Dimensional Simulators, Nonstationary Bandits with Habituation and Recovery Dynamics, Parallel Bayesian Global Optimization of Expensive Functions, Technical note—Knowledge gradient for selection with covariates: Consistency and computation, Design optimization under uncertainties of a mesoscale implant in biological tissues using a probabilistic learning algorithm, Entropy-based closure for probabilistic learning on manifolds
Uses Software
Cites Work
- An informational approach to the global optimization of expensive-to-evaluate functions
- Efficient global optimization of expensive black-box functions
- Bayesian look ahead one-stage sampling allocations for selection of the best population
- Multiple comparisons with the best using common random numbers for steady-state simulations
- Customized sequential designs for random simulation experiments: Kriging metamodeling and bootstrapping
- Global optimization of stochastic black-box systems via sequential kriging meta-models
- Feature Article: Optimization for simulation: Theory vs. Practice
- The Knowledge-Gradient Policy for Correlated Normal Beliefs
- Stochastic Kriging for Simulation Metamodeling
- The Correlated Knowledge Gradient for Simulation Optimization of Continuous Parameters using Gaussian Process Regression
- Selecting a Selection Procedure
- Discrete Optimization via Simulation Using COMPASS
- A Knowledge-Gradient Policy for Sequential Information Collection
- Using Common Random Numbers and Control Variates in Multiple-Comparison Procedures
- Validation of Simulation Analysis Methods for the Schruben-Margolin Correlation-Induction Strategy
- Pseudorandom Number Assignment in Statistically Designed Simulation and Distribution Sampling Experiments
- Comparison with a standard via fully sequential procedures
- A Survey of Some Model-Based Methods for Global Optimization
- The effects of common random numbers on stochastic kriging metamodels
- Integer-Ordered Simulation Optimization using R-SPLINE
- Using Common Random Numbers for Indifference-Zone Selection and Multiple Comparisons in Simulation
- Enhancing Stochastic Kriging Metamodels with Gradient Estimators
- Nested partitions method for stochastic optimization
